Forecasting and Trading Currency Volatility: An Application of Recurrent Neural Regression and Model Combination
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.
Volume (Year): 21 (2002)
Issue (Month): 5 (August)
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Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966
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- Shiyi Chen & Wolfgang K. Härdle & Kiho Jeong, 2010. "Forecasting volatility with support vector machine-based GARCH model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(4), pages 406-433.
- Mohamed Saidane & Christian Lavergne, 2009. "Optimal Prediction with Conditionally Heteroskedastic Factor Analysed Hidden Markov Models," Computational Economics, Society for Computational Economics, vol. 34(4), pages 323-364, November.
- Jammazi, Rania & Aloui, Chaker, 2012. "Crude oil price forecasting: Experimental evidence from wavelet decomposition and neural network modeling," Energy Economics, Elsevier, vol. 34(3), pages 828-841.
- Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
- Kellard, Neil & Dunis, Christian & Sarantis, Nicholas, 2010. "Foreign exchange, fractional cointegration and the implied-realized volatility relation," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 882-891, April.
- Dunis, Christian & Kellard, Neil M. & Snaith, Stuart, 2013. "Forecasting EUR–USD implied volatility: The case of intraday data," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4943-4957.
- Tseng, Chih-Hsiung & Cheng, Sheng-Tzong & Wang, Yi-Hsien & Peng, Jin-Tang, 2008. "Artificial neural network model of the hybrid EGARCH volatility of the Taiwan stock index option prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(13), pages 3192-3200.
- Shiyi Chen & Kiho Jeong & Wolfgang Härdle, 2008. "Support Vector Regression Based GARCH Model with Application to Forecasting Volatility of Financial Returns," SFB 649 Discussion Papers SFB649DP2008-014, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
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